On the stability of jump-diffusions with Markovian switching

Abstract

In this paper we consider the stability for a class of jump-diffusions with Markovian switching. We first construct them successively and show that they can be associated with some appropriate generators and they are non-explosive. We then prove their Feller continuity by the coupling methods. Furthermore, we also prove their strong Feller continuity by making use of the relation between the transition probabilities of jump-diffusions and the corresponding diffusions. Finally, we also investigate their exponential ergodicity.